Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/74058 
Year of Publication: 
2005
Series/Report no.: 
Nota di Lavoro No. 100.2005
Publisher: 
Fondazione Eni Enrico Mattei (FEEM), Milano
Abstract: 
In this paper we review the existing empirical literature on price asymmetries in commodities, providing a way to classify and compare different studies which are highly heterogeneous in terms of econometric models, type of asymmetries and empirical findings. Relative to the previous literature, this paper is novel in several respects. First, it presents a detailed and updated survey of the existing empirical contributions on the existence of price asymmetries in the transmission mechanism linking input prices to output prices. Second, this paper presents an extension of the traditional distinction between long-run and short-run asymmetries to new categories of asymmetries, such as: contemporaneous impact, distributed lag effect, cumulated impact, reaction time, equilibrium and momentum equilibrium adjustment path, regime effect, regime equilibrium adjustment path. Third, each empirical study is critically discussed in the light of this new classification of asymmetries. Fourth, this paper evaluates the relative merits of the most popular econometric models for price asymmetries, namely autoregressive distributed lags, partial adjustments, error correction models, regime switching and vector autoregressive models.
Subjects: 
Price asymmetries
Cointegration
Partial adjustment
Threshold regime switching
JEL: 
C22
D40
Q40
Document Type: 
Working Paper

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